Training Online – Market Risk Stress Testing & Scenario Analysis

MANFAAT PELATIHAN

• Understanding on Basic Principle on Stress Testing
• Understanding on Methodology used in Stress Testing
• Successfully determine and establish forward-looking stress tests and scenario analyses
• Focus on developing regulatory requirements for stress testing and scenario analysis
• Design and analyse flexible scenarios to effectively mitigate and manage risk
• Understanding the need for effective stress testing of Market risk
• Explore best-practice techniques for the design of a stress testing and scenario analysis framework
• Pemahaman terhadap Prinsip dasar Stress Test
• Pemahaman terhadap metodologi yang digunakan dalam Stress Testing
• Keberhasilan dalam menentukan dan membuat forward-looking stress tests dan scenario analyses
• Fokus pada membangun stress testing dan scenario analysis sesuai dengan regulatory requirements
• Merancang dan menganalisa scenario yang fleksibel dalam me-mitigasi & mengelola resiko secara efektif
• Pemahaman atas kebutuhan stress testing dari resiko pasar secara efektif
• Menggali lebih dalam best-practice techniques untuk merancang suatu kerangka kerja stress testing dan scenario analysis

MATERI PELATIHAN

1. Introduction on Stress Testing

• Role of Stress Test
• The ICAAP
• Building Block of Stress Test
• Stress Testing Types
• Sensitivity versus Scenario Analysis
• Analysis on Specific Risk Factors
• Learning from the Past

2. Performing The Stress Test Impact on Capital (Summary)

• Baseline Scenario
• Determined The Risk Exposure
• Choosing The Risk Model
• Determined The Scenarios: Single Factor Shocks
• Determined The Scenarios: Multiple Factor Shocks

3. Scenario Simulation on Yield Curve under Stress

• Term Structure of Interest Rate
• Titling Yield Curve
• Steepening Yield Curve
• Flattening Yield Curve

4. Introduction to Value at Risk Model (related to Stress Test)

• What is VaR Model?
• The Background
• Advantages of VaR Compare to Traditional Risk Measurement
• Statistic’s Distribution
• Volatility Concept
• Calculating The Standard Deviation and Generating the Correlation Matrix
• Holding Period & Confidence Level
• Calculating The Individual and Diversified VaR
• Historical VaR & Montecarlo VaR
• Backtesting The VaR Model

5. Modeling The Stress Testing on Market Risk Exposure

• Trading Book Exposure
• Stress Test on FX Exposure
• Stress Test on Trading Interest Rate Risk Exposure

6. Stress Test of Interest Rate Risk on Banking Book (IRRBB)

• Definition & Background
• Duration & Immunization Concept
• Macaulay Duration, Modified Duration
• Immunization Concept: Convexity
• Risk Sensitivity Asset & Risk Sensitivity Liability
• Economic Value of Equity Model
• Stress Test on PV01 or PVBP Modeling
• Stress Test on NII (NII Sensitivity Modeling)

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